model-confidence-set
There are 5 repositories under model-confidence-set topic.
bashtage/arch
ARCH models in Python
JLDC/model-confidence-set
Model Confidence Set (MCS) implementation in Python
ogrnz/feval
Easily evaluate your forecasts with (multivariate) Diebold-Mariano and (multivariate) Giacomini-White tests of equal predictive ability and MCS.
hkalager/FDR_buckets
This repository includes the scripts to replicate the results of my paper entitled "A False Discovery Rate Approach to Optimal Volatility Forecasting Model Selection".
Heming0425/Model_Confidence_Bound
The MCB for variable selection identifies two nested models (upper and lower confidence bound models) containing the true model at a given confidence level.